Stddev Vs Vwap

[spyro 10]

vars:

PriceW(0),

ShareW(0),

Count(0),

VolWAPValue(0),

VolWAPVariance(0),

VolWAPSD(0),

aa(0),

bb(0),

cc(0),

dd(0),

ee(0);

 

if date > date[1] then begin

PriceW = 0;

ShareW = 0;

Count = -1;

Value1 = 0;

Value2 = 0;

VolWAPValue = 0;

end;

PriceW = PriceW + (AvgPrice * (UpTicks+DownTicks));

ShareW = ShareW + (UpTicks+DownTicks);

Count = Count + 1;

Value3 = 0;

if ShareW > 0 then VolWAPValue = PriceW / ShareW;

{Calculate the individual variance terms for each intraday bar starting with the current

bar and looping back through each bar to the start bar. The terms are each normalized

according to the Variance formula for each level of volume at each price bar }

For Value1 = 0 To Count Begin

Value2 = ((UpTicks[Value1]+DownTicks[Value1])/ShareW) * (Square(AvgPrice[Value1]-VolWAPValue));

Value3 = Value3 + Value2;

End;

VolWAPVariance = Value3;

VolWAPSD = SquareRoot(VolWAPVariance);

value1=volwapsd;

 

if time=600 then aa=volwapsd;

if time=700 then bb=volwapsd;

if time=800 then cc=volwapsd;

if time=900 then dd=volwapsd;

if time=1000 then ee=volwapsd;

 

if time>500 and time<600 then

plot2(aa,"am");

 

if time>600 and time<700 then

plot2(bb,"am");

 

if time>700 and time<800 then

plot2(cc,"am");

 

if time>800 and time<900 then

plot2(dd,"am");

 

if time>900 and time<1000 then

plot2(ee,"am");

 

 

value2=(value1[203]+value1[406]+value1[609])/3;

value3=(value1+value2)/2;

value4=value3*2;

Plot1(value1, "vwap");

{Plot3(value3, "Avg of Avg");}

 

 

 

 

enjoy

[thrunner 10]

spyro,

Are you Frank Chris of http://frankeasylanguage.blogspot.com/ ?

 

Perhaps you can explain some of these indicators if you are and how you are using them.

 

BTW, most of Frank's indicators are Pacific time so most users will need to convert them to Central or Eastern time zone.

[spyro 10]

nop im not him..

 

its the first time that i saw this page

 

my friend send me this indicators by mail and i just share it.

 

but there is nothing to understand just use them like they wrote and change the time like you said

 

very simple i think so....

[Frank 10]

The idea here is similar to the ADX indicator. It is a way to show how volatile price is relative to the volume weighted price (VWAP) and compare it to the past 3 days at the same point in the day (it should be used on 2-min chart to properly reference the prior 3 days).

 

Market tends to move from range into trend and trend into range. The idea here was to show if price is trending or in a range. Sometimes, price moves away from VWAP consistently for hours -- this is a trend. Other times, VWAP is a magnet as the market coils.

[spyro 10]

The idea here is similar to the ADX indicator. It is a way to show how volatile price is relative to the volume weighted price (VWAP) and compare it to the past 3 days at the same point in the day (it should be used on 2-min chart to properly reference the prior 3 days).

 

Market tends to move from range into trend and trend into range. The idea here was to show if price is trending or in a range. Sometimes, price moves away from VWAP consistently for hours -- this is a trend. Other times, VWAP is a magnet as the market coils.

 

hey frank!!

 

are u the frank from this web blog?